A tractable framework for zero lower bound Gaussian term structure models
Year of publication: |
2013-01
|
---|---|
Authors: | Krippner, Leo |
Institutions: | Reserve Bank of New Zealand |
-
Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives
Dudenhausen, Antje, (1999)
-
Extended Libor Market Models with Affine and Quadratic Volatility
Zühlsdorff, Christian, (2000)
-
An Examination of the Effects of Parameter Misspecification
Dudenhausen, Antje, (2002)
- More ...
-
Asset markets and monetary policy shocks at the zero lower bound
Claus, Edda, (2014)
-
Krippner, Leo, (2010)
-
A model for interest rates near the zero lower bound: An overview and discussion
Krippner, Leo, (2012)
- More ...